In fact, the blue must be red because in the Holiday Lemmings version, they put the blue in red. Try to make a level with the Earth style of Lemmings 1 and replace it by one of the levels of Holiday Lem: The water will be red. The blue will be red.
Also, if you create a level of Holiday Lemmings and you put it in Customized Lemmings (or any other lemmings game): The red will be blue (like above).